Title of article :
An I() model with trend and cycles
Author/Authors :
Abadir، نويسنده , , Karim M. and Distaso، نويسنده , , Walter and Giraitis، نويسنده , , Liudas، نويسنده ,
Abstract :
This paper deals with models allowing for trending processes and cyclical component with error processes that are possibly nonstationary, nonlinear, and non-Gaussian. Asymptotic confidence intervals for the trend, cyclical component, and memory parameters are obtained. The confidence intervals are applicable for a wide class of processes, exhibit good coverage accuracy, and are easy to implement.
Keywords :
Fractional integration , trend , cycle , nonlinear process , Whittle objective function
Journal title :
Astroparticle Physics
